Amazon's just released a little PC helper app it calls Send to Kindle, which, as you might be able to work out, has one main function. It adds a right-click menu option to share documents from your desktop to your Kindle.
The first time you attempt a share you'll be asked to sign in with your Amazon details, then it's away you go. As well as the right-click share option, Kindle is integrated into the print menu, creating a "Send to Kindle" option within your list of available printers. Do this and whatever you've just printed will be chucked into a PDF and transmitted the usual way.
If you're doing this via Wi-Fi it's free, but small data fees may apply if you're somewhere that uses Amazon's Whispernet service to beam files across via 3G. Support for Mac is "coming soon" and this only works with actual Kindles, not the mobile apps. [Amazon]